Alireza Bahiraei
Department of Mathematics, Faculty of Mathematics, Statistics and Computer Science, Semnan University, Semnan, Iran
[ 1 ] - Continuous time portfolio optimization
This paper presents dynamic portfolio model based on the Merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. This paper is extended version of methodological paper published by Yuan Yao (2012). Because of the long history of the development of foreign financial market, with a variety of financial derivatives, the study on ...
[ 2 ] - On The Behavior of Malaysian Equities: Fractal Analysis Approach
Fractal analyzing of continuous processes have recently emerged in literatures in various domains. Existence of long memory in many processes including financial time series have been evidenced via different methodologies in many literatures in past decade, which has inspired many recent literatures on quantifying the fractional Brownian motion (fBm) characteristics of financial time series. Th...
[ 3 ] - پیش‌بینی ورشکستگی مالی شرکت‌های پذیرفته شده در بورس اوراق بهادار تهران با استفاده از ANN ، ANFIS ،LOGIT
بانک ها به عنوان بخش اصلی نظام مالی نقش کلیدی را در تأمین مالی بخش های مختلف اقتصادی بر عهده دارند. یکی از مهم‌ترین موضوع‌های مطرح شده در زمینه‌ی مدیریت مالی و بازار یابی مالی، این است که سرمایه‌گذاران فرصت‌های مناسب سرمایه‌گذاری را از فرصت‌های نامطلوب تشخیص دهندو مدیران مدیریت مالی موثر و کارآمد در تامین منابع مالی داشته باشند. یکی از راه‌های کمک به سرمایه‌گذاران، ارائه‌ی الگوهای پیش‌بینی ورش...
[ 4 ] - Option Pricing in the Presence of Operational Risk
In this paper we distinguish between operational risks depending on whether the operational risk naturally arises in the context of model risk. As the pricing model exposes itself to operational errors whenever it updates and improves its investment model and other related parameters. In this case, it is no longer optimal to implement the best model. Generally, an option is exercised in a jump-...
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